466
Views
24
CrossRef citations to date
0
Altmetric
Original Articles

Barrier options and their static hedges: simple derivations and extensions

Pages 327-335 | Received 15 Nov 2005, Accepted 14 Mar 2006, Published online: 18 Feb 2007

References

  • Andreasen , J . 2001 . Behind the mirror . Risk Mag. , 14 : 109 – 110 .
  • Andersen , L , Andreasen , J and Eliezer , D . 2002 . Static replication of barrier options: some general results . J. Comput. Finance , 5 : 1 – 25 .
  • Beaglehole , DR , Dybvig , P and Zhou , G . 1997 . Going to extremes: correcting simulation bias in exotic option valuation . Financial Analysts J. , 53 : 62 – 68 .
  • Bermin , H-P . 2000 . Hedging lookback and partial lookback options using Malliavan calculus . Appl. Math. Finance , 7 : 75 – 100 .
  • Björk , T . 2004 . Arbitrage Theory in Continuous Time , Oxford : Oxford University Press .
  • Carr , P and Chou , A . 1997a . Hedging complex barrier options . Working Paper . 1997a . Available online at: http://www.math.nyu.edu/research/carrp/.
  • Carr , P and Chou , A . 1997b . Breaking barriers . Risk Mag. , 10 : 139 – 145 .
  • Carr , P , Ellis , K and Gupta , V . 1998 . Static hedging of exotic options . J. Finance , 53 : 1165 – 1190 .
  • Carr , P and Lee , R . 2005 . Semi-static hedging of barrier options under stochastic volatility . Working paper . 2005 . New York University/University of Chicago .
  • Carr , P and Picron , J-F . 1999 . Static hedging of timing risk . J. Deriv. , 6 : 57 – 70 .
  • Derman , E , Ergener , D and Kani , I . 1995 . Static options replication . J. Deriv. , 2 : 78 – 95 .
  • Derman , E and Kani , I . 1998 . Stochastic implied trees: arbitrage pricing with stochastic term and strike structure of volatility . Int. J. Theor. Appl. Finance , 1 : 61 – 110 .
  • Engelmann , B , Fengler , M and Schwendner , P . 2006 . Better than its reputation: an empirical hedging analysis of the local volatility model for barrier options. Working paper . 2006 . Oppenheim : Quanteam & Sal. .
  • Jeanblanc , M , Yor , M and Chesney , M . 2005 . Mathematical Methods for Financial Markets , New York : Springer .
  • Joshi , MS . 2003 . The Concepts and Practice of Mathematical Finance , Cambridge : Cambridge University Press .
  • Karatzas , I and Shreve , SE . 1992 . Brownian Motion and Stochastic Calculus , Berlin : Springer .
  • Kunitomo , N and Ikeda , M . 1992 . Pricing options with curved boundaries. . Math. Finance , 2 : 275 – 298 . minor correction: Math. Finance, 1992, 10, 459
  • Lo , CF , Lee , HC and Hui , CH . 2003 . A simple approach for barrier options with time-dependent parameters . Quant. Finance , 3 : 98 – 107 .
  • Maruhn , JH and Sachs , EW . 2005 . “ Robust static super-replication of barrier options in the Black Scholes model ” . In Robust Optimization-Directed Design , Edited by: Kurdila , AJ , Pardalos , PM and Zabarankin , M . 127 – 143 . Berlin, Heidelberg : Springer .
  • Merton , R . 1973 . The theory of rational option pricing . Bell J. Econ. Mgmt Sci. , 4 : 141 – 183 .
  • Nalholm , M and Poulsen , R . 2006a . Static hedging of barrier options under general asset dynamics: unification and application . J. Deriv. , forthcoming
  • Nalholm , M and Poulsen , R . 2006b . Static hedging and model risk for barrier options . J. Futures Markets , 26 : 449 – 463 .
  • Roberts , GO and Shortland , CF . 1997 . Pricing barrier options with time-dependent coefficients . Math. Finance , 7 : 83 – 93 .
  • Rubinstein , M and Reiner , E . 1991 . Breaking down the barriers . Risk Mag. , 4 : 28 – 35 .
  • Sbuelz , A . 2005 . Hedging double barriers with singles . Int. J. Theor. Appl. Finance , 8 : 393 – 407 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.